In a large mixing bowl, combine warm milk with active dry yeast. Let it sit until frothy. Mix in granulated sugar, egg, egg yolk, melted butter, and vanilla extract. Gradually add flour and salt until a sticky dough forms.

Transfer the dough to a floured surface and knead until smooth and elastic. Add blue gel food coloring, kneading until evenly distributed. Place in a greased bowl, cover, and let rise in a warm place until doubled.

Make the filling by creaming together softened unsalted butter, brown sugar, and ground cinnamon. Mix in crushed chocolate sandwich cookies and mini chocolate chips until combined.

After the dough has risen, punch it down and roll out into a large rectangle. Spread filling evenly over the dough, roll tightly into a log, and cut into 12 equal rolls.

Place sliced rolls in a greased baking dish, cover, and let rise until puffy. Preheat the oven to 350°F (175°C), then bake rolls until golden brown.

To make the icing, beat together softened cream cheese and unsalted butter, adding powdered sugar, vanilla extract, and milk until smooth.

Once the rolls have cooled slightly, drizzle the icing over them and sprinkle with crushed chocolate cookies and extra mini chocolate chips.